The Bright Side of Distress Risk

The paper shows that distressed firms have positive abnormal returns when aggregate volatility unexpectedly increases. This hedging property of distressed firms explains the puzzling negative relation between firm-specific distress risk and future alphas from benchmark asset-pricing models. Controlling for aggregate volatility risk exposure also explains why the negative relation is stronger for volatile firms and growth firms

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Year of publication:	2020
Authors:	Barinov, Alexander
Publisher:	[2020]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (58 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 16, 2020 erstellt
Other identifiers:	10.2139/ssrn.2653280 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012856035